三季度债券市场利率向下突破的动力是什么？ 利率向下突破的动力——三季度债市展望 20250703 摘要 当前资金面宽松，机构投资者对资金面的分歧可能减轻，并趋向一致乐 观，即使没有央行干预，资金也会保持宽松状态，从而驱动利率继续下 行。 尽管没有宏观基本面或央行政策的大幅宽松，低利率环境下投资者竞争 激烈，机构行为对市场影响力放大，三季度可能形成一致看多局面，推 动利率自然向下突破。 下半年固收资管产品购买意愿预计会提升，企业和居民更倾向于配置固 收资管产品，受缺乏高收益低风险资产、股市分流资金有限及理财产品 吸引力影响。 银行和保险机构预计将加大对债券市场的配置力度，反映出他们对于稳 定收益资产需求增加，同时也符合当前宏观经济环境下稳健投资策略的 发展方向。 2025 年上半年银行在基金投资方面表现出较为谨慎的态度，但从二季 度末开始，债券基金的表现明显边际好转，银行的流动性管理已经有所 缓解。 Q&A 我们认为三季度债券市场利率存在向下突破的动力，这一判断主要基于机构行 为的视角。首先，资金面的担忧虽然在 6 月份有所缓解，但市场普遍预期 7 月 份之后资金面会边际收紧。然而，我们认为这种预期可能会落空， ...

Summary of Key Points from Conference Call Records Industry Overview - The conference call discusses the structure and strategies of the technology innovation bond (科创债) markets in the United States, Japan, Europe, and China, highlighting differences in institutional holdings and preferences across these regions [1][2][3][12][14]. Key Insights on the U.S. Market - **Institutional Holdings**: As of early June, U.S. institutional investors held over $500 billion in technology innovation bonds, accounting for over 20% of the total market. The primary holders are funds (57.6%) and insurance companies (40.65%), with banks and brokerages holding less than 0.3% [2]. - **Credit Preferences**: U.S. financial institutions prefer medium credit quality bonds (3B and 3B+), which constitute over 30% of their holdings, aiming for coupon income while mitigating default risks [3][4]. - **Maturity Preferences**: There is a strong inclination towards medium to long-term bonds, with those having a remaining maturity of over 11 years making up 32.67% of the holdings [5]. - **Industry Focus**: U.S. institutions favor sectors with strong technological attributes, such as software and services (18.15%), pharmaceuticals (13.09%), and aerospace and defense (10.18%), which collectively account for over 40% of their investments [6]. Key Insights on the Japanese Market - **Institutional Holdings**: The Japanese market has a smaller scale, with over $10 billion in convertible bonds, primarily held by insurance companies (54%) and funds (42.7%) [7]. - **Credit Preferences**: Japanese institutions focus on bonds rated between 3B+ and 3B, with a significant preference for medium-term bonds [8][9]. - **Industry Focus**: The pharmaceutical sector dominates, accounting for over 60% of holdings, indicating a preference for industries with strong technological barriers [10]. Key Insights on the European Market - **Institutional Holdings**: European institutions held over $220 billion in technology innovation bonds, representing 21% of the market. Funds are the dominant holders (78%), with insurance companies at 16.8% [12]. - **Credit Preferences**: The focus is on bonds rated between 3B+ and 2B-, with a significant portion (50.14%) in this range, while A- and above ratings account for 21% [12]. - **Maturity Preferences**: The maturity distribution shows a preference for bonds with a remaining term of 7 years or more (26.62%) [12]. - **Industry Focus**: The electricity industry leads with a 21.63% share, followed by pharmaceuticals and chemicals, indicating a balance between traditional industries and emerging technologies [13]. Key Insights on the Chinese Market - **Institutional Holdings**: The main participants are public funds and bank wealth management subsidiaries, with public funds holding over half of the market [14]. - **Credit Preferences**: Chinese institutions focus on high-rated bonds (AA and above), with a significant concentration in traditional industries such as construction and utilities [16]. - **Maturity Preferences**: The majority of holdings are in the short to medium term (65% within 3 years), reflecting a cautious approach to liquidity risk [14]. - **Industry Focus**: The holdings are primarily in traditional dividend-paying sectors, with construction and banking being the most significant [16][17]. Additional Insights - **Market Trends**: The downward trend in benchmark interest rates is expected to lead to a continued decline in the coupon rate of existing bonds, with a shift towards lower-yielding products [15]. - **Investment Strategies**: The choice of bonds is influenced by the current market conditions, with a tendency for institutions to prefer bonds with stable cash flows and strong business fundamentals [17]. - **Growth Companies**: Growth-oriented companies are less favored due to their lower issuance volumes and higher risks, positioning them on the periphery of institutional interest [18]. Comparative Analysis - **Market Characteristics**: The Chinese market is characterized by a focus on high-rated, short-term bonds, while the U.S. and European markets show a preference for medium to long-term bonds with a broader range of credit ratings [18][19].

Market Overview - The U.S. stock market reached a historical high at the beginning of the year but entered a bear market in April due to proposed tariff increases, with the S&P 500 index dropping 20% from its peak [1] - Following the proposed tariff suspension, financial markets rebounded quickly, recovering all losses by mid-May, marking one of the fastest recoveries observed [1] Bond Market Dynamics - The U.S. bond market experienced significant volatility, particularly with a sharp sell-off of long-term U.S. Treasuries starting in April, raising concerns among investors [2] - The 10-year Treasury yield peaked at 4.79% on January 14 and dropped to a low of 4.01% by April 4, indicating substantial fluctuations in the bond market [2] - The 30-year Treasury bond mirrored the 10-year bond's performance until late May, when it reached a year-to-date high of 5.08% [4] Investment Opportunities - Current market conditions allow bond investors to achieve yields above inflation, making it an attractive environment for fixed-income investments [6] - Municipal bonds are highlighted as particularly appealing for high-tax-bracket clients due to better valuations compared to U.S. Treasuries and corporate bonds [6] Treasury Issuance and Debt Management - The U.S. Treasury is projected to issue over $10 trillion in bonds this year, a scale unprecedented in modern markets, with $12.2 trillion issued in the first five months of 2025, a 0.2% year-on-year increase [7] - As of June 30, the yield curve showed a significant drop in short-term yields, while long-term yields increased, indicating a market preference for shorter maturities [8][9] Fiscal Challenges - Approximately $9.2 trillion of U.S. Treasury bonds are set to mature in 2025, representing about one-third of the total U.S. debt market, with a significant portion maturing before July [11] - The Treasury is increasing short-term bond issuance to manage cash flow and maintain liquidity, aiming to keep short-term bonds at around 20% of its portfolio [12] Future Outlook - Analysts expect the 10-year Treasury yield to stabilize between 4% and 5%, which is higher than the standards of the 2010s but still manageable if auction demand remains strong and inflation is controlled [12]

Report Industry Investment Rating No relevant content provided. Core Views of the Report - **Hua'an's View**: It is recommended to switch to active bonds to capture the left - hand side of the bond market trend. The trading mainline of the bond market is unclear. Although the overall situation is favorable, there are still negative factors under the high - duration and high - leverage of investors. The fundamentals are not likely to be negative for the bond market, and the central bank has an obvious intention to support the capital market. Holding 10Y/30Y active bonds helps to obtain capital gains when positive factors materialize and stop losses in case of negative factors [2]. - **Seller's View**: The sentiment index has slightly declined, but more than 60% of fixed - income sellers are bullish on the bond market. Among 29 institutions, 19 are bullish, 8 are neutral, and 2 are bearish [2]. - **Buyer's View**: The overall view of fixed - income buyers is still bullish on the bond market, but the sentiment index has declined for two consecutive weeks. Among 24 institutions, 10 are bullish, 13 are neutral, and 1 is bearish [3]. Summary by Relevant Catalogs 1. Seller and Buyer Markets 1.1 Seller Market Sentiment Index and Interest - rate Bonds - The weighted sentiment index this week is 0.48, and the unweighted index is 0.60, down 0.07 from last week. 66% of institutions are bullish, believing that July is an important window for long - positions due to historical patterns, economic weakness, and loose funds, with low bond supply pressure and favorable quarter - end institutional behavior. 27% are neutral, citing limited positive impact of the Lujiazui Forum on further decline of capital interest rates, economic resilience in the context of export rush, and potential unexpected outcomes from Sino - US talks. 7% are bearish, concerned about the stock market driving up bond interest rates and mean - reversion of interest rates [10]. 1.2 Buyer Market Sentiment Index and Interest - rate Bonds - The buyer sentiment index this week is 0.23, unchanged from last week. 42% of institutions are bullish, expecting loose funds and a possible quarter - on - quarter weakening of the economic fundamentals in Q3. 56% are neutral, as the Q2 monetary policy meeting has reduced expectations of broad credit, and the equity market suppresses bond market sentiment. 2% are bearish due to low yields [11][12]. 1.3 Credit Bonds - Market hot - topics include seasonal entry of wealth management funds and expansion of credit ETFs. Seasonal entry of wealth management funds may cause short - term disturbances to the credit market as wealth management scale expands after the quarter - end and institutional allocation power strengthens. The market for credit ETF component bonds is expected to continue [18]. 1.4 Convertible Bonds - Institutions generally hold a neutral - to - bullish view this week. 38% are bullish, noting the relative strength of debt - biased convertible bonds and the catch - up of bottom - position varieties. 62% are neutral, expecting the equity market to strengthen, limited incremental information from the Politburo meeting, and suggesting attention to the central price of convertible bonds [20]. 2. Treasury Futures Tracking 2.1 Futures Trading - Futures prices have all declined. As of June 27, the prices of TS/TF/T/TL contracts are 102.54 yuan, 106.27 yuan, 109.05 yuan, and 120.89 yuan respectively, down 0.002 yuan, 0.01 yuan, 0.11 yuan, and 0.43 yuan from last Friday. - The open interest of futures contracts varies. The open interest of TS/TF/T/TL contracts is 119,000 lots, 166,000 lots, 204,000 lots, and 116,000 lots respectively, with changes of - 183 lots, + 2960 lots, - 8166 lots, and - 318 lots from last Friday. - The trading volume has generally increased. From a 5 - day moving average perspective, the trading volumes of TS/TF/T/TL contracts are 63.7 billion yuan, 59.1 billion yuan, 68.8 billion yuan, and 100.8 billion yuan respectively, with changes of - 3.95 billion yuan, + 2.102 billion yuan, + 5.55 billion yuan, and + 21.726 billion yuan from last Friday. - The trading - to - open - interest ratio has generally increased. The trading - to - open - interest ratios of TS/TF/T/TL contracts are 0.27, 0.37, 0.33, and 0.87 respectively, with changes of - 0.01, + 0.003, + 0.02, and + 0.15 from last Friday [24][25]. 2.2 Spot Bond Trading - The turnover rate of 30Y treasury bonds has increased. On June 27, it reached 7.93%, up 3.34 percentage points from last week and 4.35 percentage points from Monday, with a weekly average of 5.18%. - The weekly average turnover rate of interest - rate bonds has increased. On June 27, it was 1.02%, up 0.05 percentage points from last week and 0.06 percentage points from Monday. - The turnover rate of 10Y China Development Bank bonds has decreased. On June 27, it was 4.46%, down 0.91 percentage points from last week and 1.12 percentage points from Monday [32][36]. 2.3 Basis Trading - The basis of TF and TL main contracts has widened, while the rest have narrowed. As of June 27, the basis (CTD) of TS/TF/T/TL main contracts is - 0.06 yuan, - 0.05 yuan, - 0.02 yuan, and + 0.32 yuan respectively, with changes of + 0.02 yuan, - 0.02 yuan, + 0.02 yuan, and + 0.06 yuan from last Friday. - The net basis of the TS main contract has turned from negative to positive, and the rest have narrowed. As of June 27, the net basis (CTD) of TS/TF/T/TL main contracts is - 0.03 yuan, - 0.05 yuan, - 0.04 yuan, and 0.01 yuan respectively, with changes of + 0.07 yuan, + 0.03 yuan, + 0.07 yuan, and + 0.15 yuan from last Friday. - The IRR of the TF main contract has increased, while the rest have decreased. As of June 27, the IRR (CTD) of TS/TF/T/TL main contracts is 1.85%, 1.92%, 1.86%, and 1.66% respectively, with changes of - 0.05%, + 0.08%, - 0.06%, and - 0.26% from last Friday [43][45]. 2.4 Inter - period and Inter - product Spreads - Inter - period spreads have shown mixed trends. As of June 27, the near - month minus far - month spreads of TS/TF/T/TL contracts are - 0.13 yuan, - 0.08 yuan, - 0.01 yuan, and 0.14 yuan respectively, with changes of + 0.02 yuan, - 0.02 yuan, - 0.01 yuan, and - 0.02 yuan from last Friday. - Inter - product spreads have generally widened. As of June 27, 2*TS - TF, 2*TF - T, 4*TS - T, and 3*T - TL are 98.83 yuan, 103.46 yuan, 301.11 yuan, and 206.27 yuan respectively, with changes of + 0.02 yuan, + 0.08 yuan, + 0.11 yuan, and + 0.11 yuan from last Friday [52].

Group 1 - The core viewpoint emphasizes the importance of the bond market as a breakthrough for the moderate diversification of Macau's economy, with clear policy directions supporting its rapid growth [1][7] - The launch of the Macau Technology Innovation Bond (referred to as "Macau Sci-Tech Bond") and the introduction of the first "Certification Standards" for these bonds signify a proactive approach to enhance cross-border financing for technology innovation [1][2] - The establishment of the Macau Sci-Tech Bond Certification Committee, comprising experts from various fields, aims to streamline the approval process and attract more tech entities to issue bonds in Macau [1][2] Group 2 - The "Certification Standards" set strict criteria for issuers, requiring them to be certified technology enterprises and to have been operating in Macau for at least one year, focusing on high-tech sectors [3][4] - The standards mandate that 100% of the raised funds must be used for technology research and development or results transformation, ensuring transparency and preventing fund misappropriation [4][5] - The standards also highlight the unique role of "Sci-Tech Incubation Support Enterprises," which are crucial for bridging the gap in technology transfer and supporting early-stage projects [5][6] Group 3 - The Macau bond market has seen significant growth, with a total issuance of 952.5 billion MOP (approximately 118.5 billion USD) as of June 25, 2025, with nearly 40% being RMB-denominated bonds [7][8] - The Macau government aims to develop a diversified offshore bond market, enhancing its infrastructure and regulatory environment to attract international investors [7][9] - The focus on creating a unique bond market in Macau, leveraging its geographical and institutional advantages, is part of a broader strategy to position Macau as a key financial hub [9][10]

Summary of Key Points from the Conference Call on the Sci-Tech Bond Market Industry Overview - The conference call discusses the **Sci-Tech Bond Market**, which includes various types of bonds such as **Innovation and Entrepreneurship Bonds**, **Sci-Tech Notes**, and **Technology Innovation Company Bonds**. The funds raised are aimed at supporting innovation incubation, the development of technology enterprises, and the construction of infrastructure for industrial parks [1][2]. Core Insights and Arguments - **Policy Development**: From 2022 to 2025, policies regarding Sci-Tech Bonds have been continuously refined, transitioning from supporting state-owned enterprises to promoting high-quality development, with new regulations introduced by the central bank and the securities regulatory commission to facilitate explosive growth in the market [1][8]. - **Market Size**: As of now, the issuance scale of Sci-Tech Bonds exceeds **30 trillion yuan**, with an outstanding balance of approximately **23 trillion yuan**. State-owned enterprises account for about **90%** of this market, with a significant concentration in traditional industries such as construction and urban investment [1][12]. - **Investment Characteristics**: The average coupon rate of Sci-Tech Bonds is lower than that of non-Sci-Tech Bonds, indicating a strong policy support direction. However, bonds with lower implicit ratings may yield higher returns compared to non-Sci-Tech Bonds [3][15]. - **Market Pain Points**: Key challenges include low participation from weakly rated enterprises and private companies, short issuance terms that do not align with the long R&D cycles of tech firms, and insufficient market liquidity and information disclosure [13][14]. Important but Overlooked Content - **Future Policy Directions**: The 2025 policy changes broaden the range of issuers and the use of raised funds, allowing financial institutions and equity investment firms to issue bonds, which is expected to enhance market recognition [9][10]. - **Liquidity Issues**: The current monthly turnover rate for Sci-Tech Bonds is between **6% and 9%**, which is lower than that of medium-term notes. However, recent policy changes have led to a slight increase in turnover rates [17]. - **ETF Impact**: The introduction of Sci-Tech Bond ETFs is anticipated to significantly improve market liquidity, particularly for the underlying bonds included in these ETFs, potentially leading to a decline in yields and compression of spreads [18]. Conclusion - The Sci-Tech Bond Market is evolving with strong policy support and significant growth potential. However, it faces challenges related to issuer quality, market liquidity, and alignment with the unique financial characteristics of technology enterprises. Future developments, particularly the introduction of ETFs and expanded issuer categories, may enhance market dynamics and investment opportunities.

Group 1 - The overall bond market is showing a strong upward trend, supported by the need for economic growth and a stable liquidity environment, despite limited downward space for interest rates due to growth policies [1][7] - Economic fundamentals indicate weak domestic demand, which underpins the bond market's strength, with a mixed performance in production, consumption, investment, and exports [2][7] - The central bank's actions, including large-scale reverse repos, are maintaining a balanced and loose liquidity environment, which supports optimistic market expectations [4][7] Group 2 - Incremental policies are currently in an observation phase, focusing on existing policies and financial tools, with an emphasis on structural monetary policy rather than broad rate cuts [6] - The bond market's focus is shifting towards economic fundamentals and monetary policy changes, with expectations of limited interest rate declines and potential market corrections [7] - The market anticipates a strong performance in short-term and ultra-long-term bonds, with a cautious approach to potential adjustments [7]

Primary Market Review - The issuance scale of government bonds, local bonds, and policy financial bonds last week was 430.8 billion, 261.8 billion, and 162 billion respectively, with net financing amounts of 135.1 billion, 124.3 billion, and 63.6 billion [1] - Financial bonds (excluding policy financial bonds) had a total issuance scale of 122.5 billion, with a net financing amount of -7.2 billion [1] - Non-financial credit bonds had a total issuance scale of 392.8 billion, with a net financing amount of 107.3 billion [1] - Two new convertible bonds were issued, with an expected financing scale of 0.9 billion [1] Secondary Market Review - Short-term interest rates in the bond market decreased while long-term rates fluctuated, influenced by factors such as liquidity, the Lujiazui conference, institutional behaviors, and geopolitical conflicts [2] Liquidity Tracking - Last week, there was a net injection through OMO, while MLF matured and was withdrawn, with the central bank conducting buyback operations to support the liquidity during the tax period [3] - The R001 and R007 rates decreased by 1.4 basis points and increased by 1 basis point respectively compared to the previous week [3] Policy and Fundamentals - Economic data for May showed stable production, rising consumption, and declining investment, with structural concerns remaining [4] - High-frequency data indicated a month-on-month decline in production, a decrease in both domestic and external consumption, and price differentiation in the production and residential sectors, with the Middle East conflict driving oil prices significantly higher [4] Overseas Market - The Federal Reserve's June FOMC statement was slightly hawkish, but U.S. consumption and production data were disappointing, exacerbating risk aversion in overseas markets [5] - The 10-year U.S. Treasury yield closed at 4.38%, down 3 basis points from the previous week [5] Equity Market - The A-share market experienced a decline in most broad-based indices due to capital outflows from new consumption and innovative pharmaceuticals, as well as the impact of the Israel-Palestine conflict [6] - Specifically, the Wind All A index fell by 1.07%, the Wind Micro-Cap index dropped by 2.18%, the CSI 300 decreased by 0.45%, and the Sci-Tech 50 fell by 1.55% [6] - A-share trading volume decreased, with an average daily turnover of 1.22 trillion, down 156.644 billion week-on-week [6] - As of June 19, 2025, the total financing balance for the entire A-share market was 1,809.167 billion, an increase of 0.188 billion from June 12 [6] Bond Market Strategy Outlook - Factors favorable to the bond market are gradually increasing in the second half of the year, with bond yields likely to face upward pressure [7] - The 10-year government bond yield has already reflected macro expectations to some extent, and short-term long-end rates are unlikely to present significant excess opportunities in the near term [7] - Short-term rates are still some distance from previous lows, and banks are balancing duration pressures, which may accumulate buying power for short-term bonds [7] - The logic of under-allocation in credit bonds continues, with a strategy prioritizing coupon collection in the short term [7] - In the convertible bond market, supply-demand conflicts persist, and liquidity remains relatively loose, with some banks redeeming convertible bonds, making core varieties scarcer [7] - The convertible bond index has reached the upper range of its fluctuation zone, and opportunities in the index require catalysts, necessitating a focus on switching core varieties and monitoring for trading opportunities driven by sentiment [7]

Core Viewpoint - The establishment of risk-sharing tools for technology innovation bonds can alleviate the fundraising difficulties in the equity investment market and enhance the ability of leading venture capital institutions to raise long-term stable funds [1] Group 1 - The first batch of projects utilizing technology innovation bond risk-sharing tools has officially launched [1] - The creation of risk-sharing tools is expected to significantly improve the accessibility and convenience of bond financing for private enterprises, especially those with weaker credit qualifications, such as early-stage and growth-stage technology companies [1] - The "technology board" in the bond market has initially connected "equity-debt-loan" through mechanisms like risk sharing and fund transmission chain design [1] Group 2 - Future potential measures may include innovations in equity-debt linkage tools and the design of bonds with special clauses, which could alleviate short-term debt repayment pressures for companies while providing value-added opportunities for investors [1]

Group 1 - The total scale of bond ETFs has exceeded 320 billion yuan, showing a significant increase of 84% compared to the beginning of the year [1] - The number of newly issued bond ETF products has reached 8, with a total scale of 21.8 billion yuan [1] - There are currently 10 bond ETFs with individual scales exceeding 10 billion yuan, indicating a trend towards index-based investment in the bond market [1] Group 2 - Bond ETFs are favored due to their low cost, high efficiency, and strong liquidity, meeting investors' needs for bond asset allocation [1] - Regulatory improvements in the bond market have created a favorable environment for the rapid development of bond ETFs [1] - Financial institutions are actively launching various themed bond ETFs to capture market share and enhance competitiveness [1] Group 3 - The development of financial technology, including big data and artificial intelligence, is expected to enhance investment efficiency and risk management in the bond market [2] - The innovation in financial products, such as convertible bonds and credit bonds, is enriching the investment options in the bond market [2] - The trend of index-based investment in the bond market is expected to continue, leading to a more robust bond market [2]